Why is there no save confirmation when closing a file?
Currently Blender does not have a 'Do You want To Save?' warning before opening a new or previous file. There is a dialog box that pops up of course, but it definitely could be a lot clearer as to what will happen when you confirm.

Blender does have several ways to recover lost files though.

First is the 'Recover Last Session' option in the file menu which you already know about based on your question. From my experience this usually doesn't do a great job of recovering in a case like yours as it goes back too far.

Blender also auto saves files. In the user preferences in the file tab you can set it to auto save more frequently (down to every 1 minute). Autosaves can be recovered from the file menu. Do note that Sculpt and Edit Mode changes won't be saved by Auto Save though (and I'm not exactly sure why that wasn't implemented, my guess would be a full save takes too long).

Finally blender created backup versions of your files. These are the .blend1 and .blend2 files that get automatically created after a while. You can open these versions using the default open menu and adjusting the filter settings at the top to display .blend1 and .blend2 files.